Vol. 9 No. 18 (2014)

Artículos

Analysis of Platinum Price Yield Dynamics Using Time Series Models

Published 2014-01-01

  • Jaime H. Beltrán
    • ,
  • José A. Núñez

Jaime H. Beltrán
Instituto Tecnológico y de Estudios Superiores de Monterrey – CCM

José A. Núñez
Instituto Tecnológico y de Estudios Superiores de Monterrey – CCM

Abstract

Using Granger causality analysis and multivariate GARCH model, we studied different variables affecting the return of platinum spot price. The data reveal that there is a bidirectional causality relation in the Granger sense, between the dollar-yen exchange rate and the return of platinum spot price modeled with a multivariate GARCH model.

Keywords

Causality, platinum, multivariate GARCH

PDF (Spanish)

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